Small extracellular vesicles (sEVs) show promise as natural nano-devices for delivery of therapeutic RNA, but efficient loading of therapeutic RNA remains a challenge. We have recently shown that the attachment of cholesterol to small interfering RNAs (siRNAs) enables efficient and productive loading into sEVs. Here, we systematically explore the ability of lipid conjugates-fatty acids, sterols, and vitamins-to load siRNAs into sEVs and support gene silencing in primary neurons. Hydrophobicity of the conjugated siRNAs defined loading efficiency and the silencing activity of siRNA-sEVs complexes. Vitamin-E-conjugated siRNA supported the best loading into sEVs and productive RNA delivery to neurons.